V-Lab: AEX-Index MF2-GARCH Volatility Analysis

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V-Lab

AEX-Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 5th, 2023:13.84% (-0.70%)

Analysis last updated: Friday, June 2, 2023 at 03:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.00
$β$	0.8374	216.95
$γ$	0.1809	40.12
$λ_{1}$	0.0088	3.98
$λ_{2}$	0.0496	3.57
$λ_{3}$	0.9434	59.61

Estimation Period:
Jan 1, 1990 to Jun 2, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts